Lean report

Mislav Sagovac

20-04-2021


Total.Trades 821
Average.Win 1.97%
Average.Loss -1.84%
Compounding.Annual.Return 7.667%
Drawdown 52.300%
Expectancy 0.182
Net.Profit 230.444%
Sharpe.Ratio 0.543
Probabilistic.Sharpe.Ratio 2.653%
Loss.Rate 43%
Win.Rate 57%
Profit.Loss.Ratio 1.07
Alpha 0.003
Beta 0.777
Annual.Standard.Deviation 0.17
Annual.Variance 0.029
Information.Ratio -0.248
Tracking.Error 0.089
Treynor.Ratio 0.119
Total.Fees $821.00
Estimated.Strategy.Capacity $310000.00